Suppose that we wish to approximate the integral g(x) dx. Suppose that we have a p.d.f. f

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Suppose that we wish to approximate the integral g(x) dx. Suppose that we have a p.d.f. f that we shall use as an importance function. Suppose that g(x)/f (x) is bounded. Prove that the importance sampling estimator has finite variance.

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Probability And Statistics

ISBN: 9780321500465

4th Edition

Authors: Morris H. DeGroot, Mark J. Schervish

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Question Posted: Nov 25, 2015 03:01 AM

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Suppose that we wish to approximate the integral g(x) dx. Suppose that we have a p.d.f. f

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